Assistant Manager – Model Risk Management

Posted 22hrs ago

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Job Description

Assistant Manager for Model Risk Management focusing on model validation and governance issues at MashreqBank. Regular collaboration with risk and compliance departments.

Responsibilities:

  • Assist in end-to-end management of model risk within Mashreq group
  • Focus on model validation and its related activities
  • Work on PD, EAD, LGD and Macroeconomic models from Credit Risk
  • Work on VaR/PSRE/CVA/FRTB models from Market Risk
  • Regular interaction and working relationships with departments like Wholesale Risk Management, Retail Risk Management, and Market & Operational Risk Management
  • Assisting in managing model risk governance issues and integrity
  • Measurement of key model performance metrics, risk capital etc.
  • Preparing model performance related reports for senior stakeholders

Requirements:

  • 3+ years of experience in the BFSI sector with understanding of risk management and risk quantification processes
  • Master’s (or Bachelor’s with at least 2 extra years of experience) in Statistics, Mathematics, Operations Research, Engineering or related fields
  • Knowledge of different types of risks such as Credit, Market, Operational etc.
  • Understanding of model development and validation processes
  • Strong quantitative skills
  • Strong written and communication skills
  • Hands-on experience of working on SAS, Python, R from model development/validation perspective
  • Professional Qualifications such as FRM is a plus
  • Sound knowledge of Microsoft Office tools such as Excel, Power point, Word
  • Team player, self-starter, innovative and highly motivated.